=== NASM ===
First of all, we need nasm. So unzip the nasm archive in a directory,
copy "nasmw.exe" to "nasm.exe" (because some projects call one and others call the other) and copy both files in MinGW's bin directory. Alternatively, you can include the folder you unzipped the files in your system path. To do this, go to Control Panel->System, Advanced tab->environment variables and edit the "PATH" variable in the system variables list, adding the folder where you placed the aforementioned files. Directories in the system path are split with a semicolon (;), e.g. "C:\MinGW\msys\1.0\bin;C:\MinGW\bin;C:\nasm".
Note that changes to the PATH will be reflected on newly opened command prompts only, so if you got any open already, close them to avoid confusion
=== SDL ===